• Title/Summary/Keyword: Financial Analysis Index

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Bankruptcy Prediction Modeling Using Qualitative Information Based on Big Data Analytics (빅데이터 기반의 정성 정보를 활용한 부도 예측 모형 구축)

  • Jo, Nam-ok;Shin, Kyung-shik
    • Journal of Intelligence and Information Systems
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    • v.22 no.2
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    • pp.33-56
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    • 2016
  • Many researchers have focused on developing bankruptcy prediction models using modeling techniques, such as statistical methods including multiple discriminant analysis (MDA) and logit analysis or artificial intelligence techniques containing artificial neural networks (ANN), decision trees, and support vector machines (SVM), to secure enhanced performance. Most of the bankruptcy prediction models in academic studies have used financial ratios as main input variables. The bankruptcy of firms is associated with firm's financial states and the external economic situation. However, the inclusion of qualitative information, such as the economic atmosphere, has not been actively discussed despite the fact that exploiting only financial ratios has some drawbacks. Accounting information, such as financial ratios, is based on past data, and it is usually determined one year before bankruptcy. Thus, a time lag exists between the point of closing financial statements and the point of credit evaluation. In addition, financial ratios do not contain environmental factors, such as external economic situations. Therefore, using only financial ratios may be insufficient in constructing a bankruptcy prediction model, because they essentially reflect past corporate internal accounting information while neglecting recent information. Thus, qualitative information must be added to the conventional bankruptcy prediction model to supplement accounting information. Due to the lack of an analytic mechanism for obtaining and processing qualitative information from various information sources, previous studies have only used qualitative information. However, recently, big data analytics, such as text mining techniques, have been drawing much attention in academia and industry, with an increasing amount of unstructured text data available on the web. A few previous studies have sought to adopt big data analytics in business prediction modeling. Nevertheless, the use of qualitative information on the web for business prediction modeling is still deemed to be in the primary stage, restricted to limited applications, such as stock prediction and movie revenue prediction applications. Thus, it is necessary to apply big data analytics techniques, such as text mining, to various business prediction problems, including credit risk evaluation. Analytic methods are required for processing qualitative information represented in unstructured text form due to the complexity of managing and processing unstructured text data. This study proposes a bankruptcy prediction model for Korean small- and medium-sized construction firms using both quantitative information, such as financial ratios, and qualitative information acquired from economic news articles. The performance of the proposed method depends on how well information types are transformed from qualitative into quantitative information that is suitable for incorporating into the bankruptcy prediction model. We employ big data analytics techniques, especially text mining, as a mechanism for processing qualitative information. The sentiment index is provided at the industry level by extracting from a large amount of text data to quantify the external economic atmosphere represented in the media. The proposed method involves keyword-based sentiment analysis using a domain-specific sentiment lexicon to extract sentiment from economic news articles. The generated sentiment lexicon is designed to represent sentiment for the construction business by considering the relationship between the occurring term and the actual situation with respect to the economic condition of the industry rather than the inherent semantics of the term. The experimental results proved that incorporating qualitative information based on big data analytics into the traditional bankruptcy prediction model based on accounting information is effective for enhancing the predictive performance. The sentiment variable extracted from economic news articles had an impact on corporate bankruptcy. In particular, a negative sentiment variable improved the accuracy of corporate bankruptcy prediction because the corporate bankruptcy of construction firms is sensitive to poor economic conditions. The bankruptcy prediction model using qualitative information based on big data analytics contributes to the field, in that it reflects not only relatively recent information but also environmental factors, such as external economic conditions.

A Quantitative Study on Growth of Social Enterprise in Korea - Focused on Financial Performance during 2007~2010 - (사회적기업의 성장에 관한 양적 분석 - 2007~2010년 경제적 성과를 중심으로 -)

  • Kwag, Seon-Hwa
    • Management & Information Systems Review
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    • v.32 no.1
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    • pp.289-309
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    • 2013
  • Social enterprise has moved from periphery to take center stage. Social enterprises are a truly global phenomenon and associated with solving social problems with business approaches. While the numbers of social enterprises have grown and their impact is likely to continue to do so, it would be dangerous to assume that the revolutionary momentum will automatically continue, because social enterprise faced sustainability challenges. This study collected the data from directory of Korean Social Enterprise to conduct a quantitative research on the growth of social enterprise in South Korea. This study conducted longitudinal analysis of 491 social enterprise certified between 2007 and 2010, of economic performance with financial index and social impact with employment structure. Though global financial crisis, Korean social enterprises show that there is a considerable increase in all of quantitative and qualitative aspects. Korean social enterprises have provided meaningful work to those normally excluded from the labour market and tried to raise their life of working. In the future, Korean social enterprises should find a way to balance social and financial performance and ensure the sustainability of the business.

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The Effects of Compliance Timing on Multinational Enterprises' Corporate Performance in China: An Application of Institutional Perspectives

  • Yang, Woo-Young;Han, Byoung-Sop
    • Journal of Korea Trade
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    • v.24 no.4
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    • pp.71-94
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    • 2020
  • Purpose - Multi-National Enterprises (MNEs) tend to face a high level of institutional pressures in regions with high institutional development level. When complying with institutional pressures, firms try to make decisions to maximize profit while minimizing the risks to them. The purpose of this study is to investigate the influence of the institutional development level on institutional compliance timing by MNEs and the relationship between compliance speed and corporate performance. Design/methodology - The research focuses on three main variables, which are the institutional development level (as a determination of the institutional pressure level), the firm's compliance speed (as a determination of the compliance timing), and the firm's financial performance (as a determination of the corporate performance). We collected 19,869 firm-level data from CSMAR (the China Stock Market and Accounting Research), 6,922 CSR data from RKS (the Rankins CSR Ratings), and province and city-level data from the NERIM (National Economic Research Institute Index of Marketization) and NBSC (National Bureau of Statistics of China). The firms in China were chosen for analysis, and the analysis period was from 2008 to 2017. Random Effects GLS Regression was used to test the relationships among the variables. Findings - This study examined the effect of the institutional development level on the firm's compliance speed, together with the effect of compliance speed on the firm's financial performance of the MNEs in China. We found that the institutional development level positively influenced firms' financial performances, which means the firms' financial performances are better in the region with a high institutional development level. The compliance speed of institutional practice by firms was faster in the higher level of institutional development. However, the firm's delayed compliance led to better financial performance. Originality/value - Studies in the resource dependence view of Institutional Theory often fall short in understanding the theory by overlooking the firm's active decision-making. Thus, the findings do not present a full scope of corporate performance in this regard. This study not only found a way to test the role of a firm's independent decision-making (i.e., compliance timing) when facing the institutional pressure but also prove the significant role of the compliance timing on corporate performance. Also, we were able to test the effect of institutional development level, controlling location-specific variables because we used CSR performance data for MNEs operating in China. Lastly, by doing the above, the findings of this study suggest practical implications to the industry practitioners in MNEs.

Analysis of a Stock Price Trend and Future Investment Value of Cultural Content-related Convergence Business (문화콘텐츠 관련 융복합 기업들의 주가동향 및 향후 투자가치 분석)

  • Choi, Jeong-Il;Lee, Ok-Dong
    • Journal of Digital Convergence
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    • v.13 no.11
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    • pp.45-55
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    • 2015
  • This study used for KOSPI, KOSDAQ, entertainment culture and digital contents index that is related to cultural contents industry. There was investigated the each stock price index and return trends for a total 597 weeks to July 2015 from March 2004. They looked the content-related stocks about investment worth to comparative analysis the return, volatility, correlation, synchronization phenomena etc. of each stock index. When we saw the growth potential of the cultural contents industry forward, looked forward to the investment possibility of related stocks. Analysis Result cultural content related stocks showed a higher rate after the last 2008 global financial crisis. Recent as high interest in the cultural contents industry, we could see that the investment merit increases slowly. In the future, the cultural content industry is expected to continue to evolve. The increase of investments value in the cultural content related businesses is much expectation.

Development of a disaster index for quantifying damages to wastewater treatment systems by natural disasters (하수처리시설의 자연 재해 영향 정량화 지수 개발 연구)

  • Park, Jungsu;Park, Jae-Hyeoung;Choi, June-Seok;Heo, Tae-Young
    • Journal of Korean Society of Water and Wastewater
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    • v.35 no.1
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    • pp.53-61
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    • 2021
  • The quantified analysis of damages to wastewater treatment plants by natural disasters is essential to maintain the stability of wastewater treatment systems. However, studies on the quantified analysis of natural disaster effects on wastewater treatment systems are very rare. In this study, a total disaster index (DI) was developed to quantify the various damages to wastewater treatment systems from natural disasters using two statistical methods (i.e., AHP: analytic hierarchy process and PCA: principal component analysis). Typhoons, heavy rain, and earthquakes are considered as three major natural disasters for the development of the DI. A total of 15 input variables from public open-source data (e.g., statistical yearbook of wastewater treatment system, meteorological data and financial status in local governments) were used for the development of a DI for 199 wastewater treatment plants in Korea. The total DI was calculated from the weighted sum of the disaster indices of the three natural disasters (i.e., TI for typhoon, RI for heavy rain, and EI for earthquake). The three disaster indices of each natural disaster were determined from four components, such as possibility of occurrence and expected damages. The relative weights of the four components to calculate the disaster indices (TI, RI and EI) for each of the three natural disasters were also determined from AHP. PCA was used to determine the relative weights of the input variables to calculate the four components. The relative weights of TI, RI and EI to calculate total DI were determined as 0.547, 0.306, and 0.147 respectively.

Study for Support Structure of Liftable Car Deck on PCTC (자동차 운반선 이동식 갑판의 Latch 보강 적정설계 연구)

  • Na, Yongmoon;Chae, Wooki
    • Special Issue of the Society of Naval Architects of Korea
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    • 2013.12a
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    • pp.60-65
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    • 2013
  • Now days, the demands of new type hull lines and optimum design in relation with the EEDI (Energy Efficiency Design Index) regulation and eco-friendly high efficiency vessel design are mandatory clauses in Euro financial crises era. Therefore, in correlation with the above, we tried to find the optimum results and revealed the alterations of supporting structure for liftable car deck latch on PCTC. Generally, PCTC (Pure Car & Truck Carrier) design has been performed by 2 pillar space model F. E analysis without vehicle loads on liftable car deck to evaluate the structural adaptability. So, we applied mentioned vehicle loads on pillar and side transverse web on model to compare with not applied model and performed the ultimate strength analysis of improved design for the safety evaluation.

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Development of Borough Road Pavement Condition Evaluation Criteria and Prediction Index (자치구 포장상태평가등급 기준 개선 및 포장상태 예측지수 개발)

  • Lee, Sang Yum;Jeon, Jin Ho
    • International Journal of Highway Engineering
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    • v.18 no.6
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    • pp.115-122
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    • 2016
  • OBJECTIVES : This study develops an evaluation method, which is useful to inspect pavement condition of specific boroughs. This is because pavement condition is broadly divided into five grades via visual inspection, which does not consider the types of deteriorations, and is decided by an investigator having a subjective viewpoint. This visual inspection method is not a satisfactory method for accurate maintenance when various deteriorations occur. METHODS : The performance model considers several factors such as crack, rutting, and IRI. This method is also modified from borough SPI based on SPI (Seoul Pavement Index). Considering limited budget of borough, PI (prediction index) is suggested, which is related to the grade of pavement condition evaluation and type of materials. Practical correlation review is also conducted with statistical verification by using the Monte Carlo simulation. RESULTS : The results of the study show that modified criteria are reasonable. First, the comparison between the visual inspection result and the SPI result indicates that the R-square value is sufficiently high. Second, through the common section, each evaluation method could be compared, and the result shows considerable similarity, which increases when the range is modified. Finally, PI for predicting remaining life and the random number SPI have common parts, which means that each indicator would be adequate to be used as an evaluation method. CONCLUSIONS : Comparison and analysis results show that the developed evaluation method is reasonable for specific boroughs where financial support is inadequate for the evaluation process by using the newer equipment. Moreover, for more accurate evaluation method, previous visual inspection data should be utilized, and the database of inspection equipment have to be collected.

A Study on the Analysis of Optimal Asset Allocation and Welfare Improvemant Factors through ESG Investment (ESG투자를 통한 최적자산배분과 후생개선 요인분석에 관한 연구)

  • Hyun, Sangkyun;Lee, Jeongseok;Rhee, Joon-Hee
    • Journal of Korean Society for Quality Management
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    • v.51 no.2
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    • pp.171-184
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    • 2023
  • Purpose: First, this paper suggests an alternative approach to find optimal portfolio (stocks, bonds and ESG stocks) under the maximizing utility of investors. Second, we include ESG stocks in our optimal portfolio, and compare improvement of welfares in the case with and without ESG stocks in portfolio. Methods: Our main method of analysis follows Brennan et al(2002), designed under the continuous time framework. We assume that the dynamics of stock price follow the Geometric Brownian Motion (GBM) while the short rate have the Vasicek model. For the utility function of investors, we use the Power Utility Function, which commonly used in financial studies. The optimal portfolio and welfares are derived in the partial equilibrium. The parameters are estimated by using Kalman filter and ordinary least square method. Results: During the overall analysis period, the portfolio including ESG, did not show clear welfare improvement. In 2017, it has slightly exceeded this benchmark 1, showing the possibility of improvement, but the ESG stocks we selected have not strongly shown statistically significant welfare improvement results. This paper showed that the factors affecting optimal asset allocation and welfare improvement were different each other. We also found that the proportion of optimal asset allocation was affected by factors such as asset return, volatility, and inverse correlation between stocks and bonds, similar to traditional financial theory. Conclusion: The portfolio with ESG investment did not show significant results in welfare improvement is due to that 1) the KRX ESG Leaders 150 selected in our study is an index based on ESG integrated scores, which are designed to affect stability rather than profitability. And 2) Korea has a short history of ESG investment. During the limited analysis period, the performance of stock-related assets was inferior to bond assets at the time of the interest rate drop.

Expiration-Day Effects: The Korean Evidence (주가지수 선물과 옵션의 만기일이 주식시장에 미치는 영향: 개별 종목 분석을 중심으로)

  • Choe, Hyuk;Eom, Yun-Sung
    • The Korean Journal of Financial Management
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    • v.24 no.2
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    • pp.41-79
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    • 2007
  • This study examines the expiration-day effects of stock index futures and options in the Korean stock market. The so-called 'expiration-day effects', which are the abnormal stock price movements on derivatives expiration days, arise mainly from cash settlement. Index arbitragers have to bear the risk of their positions unless they liquidate their index stocks on the expiration day. If many arbitragers execute large buy or sell orders on the expiration day, abnormal trading volumes are likely to be observed. If a lot of arbitragers unwind positions in the same direction, temporary trading imbalances induce abnormal stock market volatility. By contrast, if some information arrives at market, the abnormal trading activity must be considered a normal process of price discovery. Stoll and Whaley(1987) investigated the aggregate price and volume effects of the S&P 500 index on the expiration day. In a related study, Stoll and Whaley(1990) found a similarity between the price behavior of stocks that are subject to program trading and of the stocks that are not. Thus far, there have been few studies about the expiration-day effects in the Korean stock market. While previous Korean studies use the KOSPI 200 index data, we analyze the price and trading volume behavior of individual stocks as well as the index. Analyzing individual stocks is important for two reasons. First, stock index is a market average. Consequently, it cannot reflect the behavior of many individual stocks. For example, if the expiration-day effects are mainly related to a specific group, it cannot be said that the expiration of derivatives itself destabilizes the stock market. Analyzing individual stocks enables us to investigate the scope of the expiration-day effects. Second, we can find the relationship between the firm characteristics and the expiration-day effects. For example, if the expiration-day effects exist in large stocks not belonging to the KOSPI 200 index, program trading may not be related to the expiration-day effects. The examination of individual stocks has led us to the cause of the expiration-day effects. Using the intraday data during the period May 3, 1996 through December 30, 2003, we first examine the price and volume effects of the KOSPI 200 and NON-KOSPI 200 index following the Stoll and Whaley(1987) methodology. We calculate the NON-KOSPI 200 index by using the returns and market capitalization of the KOSPI and KOSPI 200 index. In individual stocks, we divide KOSPI 200 stocks by size into three groups and match NON-KOSPI 200 stocks with KOSPI 200 stocks having the closest firm characteristics. We compare KOSPI 200 stocks with NON-KOSPI 200 stocks. To test whether the expiration-day effects are related to order imbalances or new information, we check price reversals on the next day. Finally, we perform a cross-sectional regression analysis to elaborate on the impact of the firm characteristics on price reversals. The main results seem to support the expiration-day effects, especially on stock index futures expiration days. The price behavior of stocks that are subject to program trading is shown to have price effects, abnormal return volatility, and large volumes during the last half hour of trading on the expiration day. Return reversals are also found in the KOSPI 200 index and stocks. However, there is no evidence of abnormal trading volume, or price reversals in the NON-KOSPI 200 index and stocks. The expiration-day effects are proportional to the size of stocks and the nearness to the settlement time. Since program trading is often said to be concentrated in high capitalization stocks, these results imply that the expiration-day effects seem to be associated with program trading and the settlement price determination procedure. In summary, the expiration-day effects in the Korean stock market do not exist in all stocks, but in large capitalization stocks belonging to the KOSPI 200 index. Additionally, the expiration-day effects in the Korean stock market are generally due, not to information, but to trading imbalances.

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Financial performance analysis based on efficiency evaluation of Regional Public Hospital (지방의료원의 운영효율성 평가에 따른 재무성과 분석)

  • Lee, Jin-Woo
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.18 no.4
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    • pp.614-623
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    • 2017
  • The purpose of this study is to analyze the impact of the financial performance of regional public hospitals on their efficiency. In addition, the analysis of their efficiency using environmental factors, such as the market share, operating mode, and size of the regional public hospitals, as well as the factors influencing their efficiency, are selected by selecting the input and output factors of the hospitals and some differences were found between them. The DEA index and financial performance of the 31 regional public hospitals were calculated for the three years from 2012 to 2014. ANOVA and hierarchical regression analysis were used. As a result, there was a significant difference in their efficiency according to the environmental factors, such as the city scale of the regional public hospital, the number of hospital beds, and their business performance, productivity, and publicness. The medical profit margin (p<0.05), labor cost investment efficiency (p<0.05) and HHI (p<0.05) were found to affect the efficiency. In order to identify the inefficiencies of the regional public hospitals and increase their efficiency, it is necessary to measure the efficiency of the input resources and to reduce their cost. In addition, if the regional public hospitals were to provide specialized services, such as specialized functions of medical care that would give them a competitive advantage over private hospitals, their operational efficiency would be enhanced and they would be able to fulfill their role as public medical institutions.